Klopp, who now works as Red Bull's global head of soccer has dodged questions over his future since he left his role as Liverpool boss in 2024.
The German manager won the Champions League in 2019 before leading Liverpool to their first league title in 30 years in 2019-20 in what an unforgettable spell in charge of the Reds.
Klopp, who also managed Borussia Dortmund and Mainz, was asked this week if he plans to return to management as rumours constantly surround him and his future.
"Right, if I answer that question now, everything I've said so far disappears, erased. There's Jose (Mourinho). That's fine. So, no comment.
"I train every day, in the gym... Jokes aside, we'll see."
Klopp mentioned Mourinho as he was linked with the Real Madrid job once Xabi Alonso was sacked earlier this year. Reports stated that Klopp was one of the favourites for the job in a move that would have stunned Liverpool fans due to their rivalry.
The German denied any talks with Madrid earlier this season, though he has not ruled out a future return to coaching.
The 59-year-old said: “If Real Madrid had phoned, we would have heard about it by now. But that’s all nonsense. They haven’t called even once, not once. My agent is there, you can ask him. They haven’t called him either.
“Right now I’m not thinking about that, luckily there’s no reason to. For my age I’m quite advanced in life, but as a coach I’m not completely finished. I haven’t reached retirement age. Who knows what will happen in the coming years? But there’s nothing planned.”
Madrid have since hired Mourinho who was eager to take the job as he left Benfica in what was a swift move.